Schedule of Investments (unaudited) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks — 0.1% |
| |||||||
Diversified Financial Services — 0.0% | ||||||||
Kcad Holdings I Ltd.(a)(b) | 309,827,230 | $ | 3,098 | |||||
|
| |||||||
Energy Equipment & Services — 0.0% | ||||||||
McDermott International, Inc.(b) | 10,754 | 624 | ||||||
|
| |||||||
Health Care Management Services — 0.0% | ||||||||
New Millennium HoldCo, Inc.(b) | 14,906 | 820 | ||||||
|
| |||||||
Media — 0.0% | ||||||||
Clear Channel Outdoor Holdings, Inc.(b) | 114,650 | 73,376 | ||||||
|
| |||||||
Metals & Mining — 0.0% | ||||||||
Preferred Proppants LLC(a)(b) | 12,198 | 48,792 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||
SunPower Corp.(b) | 1,860 | 9,430 | ||||||
|
| |||||||
Software — 0.0% | ||||||||
Avaya Holdings Corp.(b) | 66 | 534 | ||||||
|
| |||||||
Utilities — 0.1% | ||||||||
Texgen LLC(b) | 8,431 | 261,361 | ||||||
|
| |||||||
Total Common Stocks — 0.1% |
| 398,035 | ||||||
|
| |||||||
Par (000) | ||||||||
Asset-Backed Securities — 0.3% |
| |||||||
ALM XIV Ltd., Series2020-1A, Class A2, (3 mo. LIBOR US + 1.85%), | USD 500 | 425,602 | ||||||
Gulf Stream Meridian 1 Ltd., | ||||||||
Class A1, (3 mo. LIBOR US + 1.37%), 3.17%, 04/15/33 | 750 | 749,175 | ||||||
Class B, (3 mo. LIBOR US + 2.00%), 0.00%, 04/15/33 | 250 | 249,600 | ||||||
|
| |||||||
Total Asset-Backed Securities — 0.3% |
| 1,424,377 | ||||||
|
|
Security | Par (000) | Value | ||||||
Corporate Bonds — 1.1% |
| |||||||
Aerospace & Defense — 0.3% | ||||||||
Wolverine Escrow LLC, 9.00%, 11/15/26(c) | USD | 1,555 | $ | 1,263,438 | ||||
|
| |||||||
Consumer Finance — 0.2% | ||||||||
Husky III Holding Ltd., (13.00% PIK), 13.00%, 02/15/25(c)(e) | 905 | 664,704 | ||||||
|
| |||||||
Electric Utilities — 0.0% | ||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20(a) | 1,061 | — | ||||||
|
| |||||||
Media — 0.1% | ||||||||
Front Range BidCo, Inc., 6.13%, 03/01/28(c) | 281 | 266,950 | ||||||
|
| |||||||
Metals & Mining — 0.1% | ||||||||
Freeport-McMoRan, Inc., 3.88%, 03/15/23 | 625 | 590,625 | ||||||
|
| |||||||
Software — 0.4% | ||||||||
Castle US Holding Corp., 9.50%, 02/15/28(c) | 733 | 696,350 | ||||||
Infor US, Inc., 6.50%, 05/15/22 | 1,176 | 1,155,420 | ||||||
|
| |||||||
1,851,770 | ||||||||
Technology Hardware, Storage & Peripherals — 0.0% | ||||||||
Presidio Holdings, Inc., 8.25%, 02/01/28(c) | 125 | 110,156 | ||||||
|
| |||||||
Total Corporate Bonds — 1.1% |
| 4,747,643 | ||||||
|
| |||||||
Floating Rate Loan Interests(d) — 138.6% |
| |||||||
Aerospace & Defense — 3.4% | ||||||||
Arconic Rolled Products Corp., Term Loan B, 02/04/27(a)(f) | 692 | 622,801 | ||||||
Bleriot US Bidco, Inc.,(a): | ||||||||
Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 7.00%, 10/31/26 | 130 | 114,666 | ||||||
Term Loan B, (3 mo. LIBOR + 4.75%), 6.20%, 10/31/26 | 834 | 733,862 | ||||||
Dynasty Acquisition Co., Inc. : | ||||||||
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 4.95%, 04/06/26 | 2,568 | 2,031,647 | ||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 4.95%, 04/06/26 | 4,776 | 3,778,864 | ||||||
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 6.44%, 04/09/26(a) | 786 | 605,266 |
1 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Aerospace & Defense (continued) | ||||||||
TransDigm, Inc. : | ||||||||
2020 Term Loan F, (1 mo. LIBOR + 2.25%), 3.24%, 12/09/25 | USD | 6,237 | $ | 5,659,967 | ||||
2020 Term Loan G, (1 mo. LIBOR + 2.25%), 3.24%, 08/22/24 | 756 | 700,239 | ||||||
|
| |||||||
14,247,312 | ||||||||
Air Freight & Logistics — 0.6% | ||||||||
WestJet Airlines Ltd., Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26 | 3,187 | 2,422,130 | ||||||
|
| |||||||
Airlines — 0.6% | ||||||||
American Airlines, Inc. : | ||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 2.69%, 01/29/27 | 392 | 317,855 | ||||||
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.70%, 12/14/23 | 1,833 | 1,439,239 | ||||||
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.94%, 04/28/23 | 1,079 | 871,278 | ||||||
|
| |||||||
2,628,372 | ||||||||
Auto Components — 2.4% | ||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 4.44%, 04/30/26(a) | 6,458 | 5,877,094 | ||||||
USI, Inc. : | ||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.99%, 05/16/24 | 3,838 | 3,493,021 | ||||||
2019 Incremental Term Loan B, (1 mo. LIBOR + 4.00%), 4.99%, 12/02/26 | 219 | 196,041 | ||||||
Wand NewCo 3, Inc., 2020 Term Loan, | 932 | 829,341 | ||||||
|
| |||||||
10,395,497 | ||||||||
Banks — 0.7% | ||||||||
Capri Finance LLC, 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 4.78%, 11/01/24 | 3,307 | 2,836,137 | ||||||
|
| |||||||
Building Materials — 0.9% | ||||||||
Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 5.24%, 07/12/26 | 4,043 | 3,719,192 | ||||||
|
| |||||||
Building Products — 1.2% | ||||||||
CPG International, Inc., 2017 Term Loan, 05/05/24(f) | 1,687 | 1,399,401 |
Security | Par (000) | Value | ||||||
Building Products (continued) | ||||||||
LSF10 XL Bidco SCA, EUR Term Loan B3, | EUR | 1,000 | $ | 816,146 | ||||
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.71%, 12/19/23(a) | USD | 3,413 | 2,730,304 | |||||
|
| |||||||
4,945,851 | ||||||||
Capital Markets — 2.2% | ||||||||
Duff & Phelps Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 02/13/25(a) | 3,474 | 3,404,986 | ||||||
Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.99%, 12/27/22 | 920 | 880,877 | ||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.86%, 04/12/24(a) | 1,259 | 1,095,584 | ||||||
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.25%), 4.25%, 06/03/26 | 2,378 | 1,965,608 | ||||||
Travelport Finance (Luxembourg) Sarl : | ||||||||
2019 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%), 10.07%, 05/28/27 | 1,145 | 362,587 | ||||||
2019 Term Loan, (3 mo. LIBOR + 5.00%), 6.07%, 05/29/26 | 2,612 | 1,672,865 | ||||||
|
| |||||||
9,382,507 | ||||||||
Chemicals — 4.7% | ||||||||
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.45%, 01/31/24(a) | 3,366 | 3,063,204 | ||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.70%, 08/27/26(a) | 2,585 | 2,171,478 | ||||||
Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 3.20%, 06/01/24(a) | 1,876 | 1,754,009 | ||||||
Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24 | 2,894 | 2,445,075 | ||||||
Charter NEX US, Inc., Incremental Term Loan, (1 mo. LIBOR + 3.50%), 4.49%, 05/16/24 | 618 | 534,329 | ||||||
Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 2.74%, 04/03/25(a) | 654 | 595,267 | ||||||
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, 06/28/24(f) | 1,170 | 990,973 |
2 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Chemicals (continued) | ||||||||
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24(a) | USD | 1,255 | $ | 979,017 | ||||
Invictus US LLC : | ||||||||
1st Lien Term Loan, (6 mo. LIBOR + 3.00%), 4.78%, 03/28/25 | 1,043 | 806,598 | ||||||
2nd Lien Term Loan, (6 mo. LIBOR + 6.75%), 8.53%, 03/30/26(a) | 430 | 301,000 | ||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 3.95%, 03/02/26 | 2,883 | 2,548,775 | ||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.24%, 05/15/24 | 1,057 | 849,468 | ||||||
Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 4.94%, 10/14/24 | 3,377 | 2,752,646 | ||||||
Tata Chemicals North America, Inc., Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.38%, 08/07/20 | 422 | 381,901 | ||||||
|
| |||||||
20,173,740 | ||||||||
Commercial Services & Supplies — 7.6% | ||||||||
Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 2.89%, 11/10/23 | 3,082 | 3,038,128 | ||||||
Aramark Services, Inc. : | ||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 2.74%, 03/11/25 | 274 | 254,712 | ||||||
2019 Term Loan B4, (1 mo. LIBOR + 1.75%), 2.74%, 01/15/27(a) | 624 | 577,200 | ||||||
Asurion LLC : | ||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.49%, 08/04/25 | 1,882 | 1,714,972 | ||||||
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.99%, 11/03/23 | 2,944 | 2,796,724 | ||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.99%, 11/03/24(a) | 1,159 | 1,095,586 | ||||||
Creative Artists Agency LLC, 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 4.74%, 11/26/26 | 3,191 | 2,760,217 | ||||||
Dealer Tire, LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 5.24%, 12/12/25 | 2,352 | 1,905,205 | ||||||
Diamond (BC) BV, Term Loan, (3 mo. LIBOR + 3.00%), 4.78%, 09/06/24 | 1,378 | 1,019,971 | ||||||
Energy Solutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.20%, 05/09/25(a) | 574 | 493,451 | ||||||
GFL Environmental, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/30/25 | 469 | 452,865 |
Security | Par (000) | Value | ||||||
Commercial Services & Supplies (continued) | ||||||||
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 6.46%, 11/03/23 | USD | 462 | $ | 278,230 | ||||
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), | 1,003 | 922,486 | ||||||
Prime Security Services Borrower LLC, 2019 Term Loan B1, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.61%, 09/23/26 | 2,185 | 1,951,105 | ||||||
Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 2.75%), 3.74%, 05/01/24 | 4,735 | 4,213,757 | ||||||
Verisure Holding AB, EUR Term Loan B1E, (3 mo. LIBOR + 3.00%), 3.00%, 10/20/22 | EUR | 1,000 | 1,039,483 | |||||
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 5.49%, 08/27/25(a) | USD | 5,906 | 5,552,082 | |||||
West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.45%, 10/10/24 | 3,229 | 2,408,261 | ||||||
|
| |||||||
32,474,435 | ||||||||
Communications Equipment — 0.3% | ||||||||
Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24 | 1,420 | 1,334,550 | ||||||
|
| |||||||
Construction & Engineering — 1.2% | ||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.70%, 06/21/24 | 3,045 | 2,420,563 | ||||||
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 4.56%, 04/12/25 | 448 | 378,693 | ||||||
SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.99%, 05/23/25 | 2,254 | 1,898,871 | ||||||
USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/08/23 | 332 | 278,815 | ||||||
|
| |||||||
4,976,942 | ||||||||
Construction Materials — 2.8% | ||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.99%, 01/15/27(a) | 2,348 | 2,207,515 | ||||||
Core & Main LP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.33%, 08/01/24 | 4,991 | 4,379,355 | ||||||
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.99%, 03/29/25 | 3,091 | 2,670,066 |
3 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Construction Materials (continued) | ||||||||
Forterra Finance LLC, 2017 Term Loan B, 10/25/23(f) | USD | 1,603 | $ | 1,319,962 | ||||
Foundation Building Materials LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.99%, 08/13/25 | 802 | 691,620 | ||||||
Tamko Building Products, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.24%, 05/29/26(a) | 728 | 676,795 | ||||||
|
| |||||||
11,945,313 | ||||||||
Containers & Packaging — 2.4% | ||||||||
Berry Global, Inc. : | ||||||||
2019 Term Loan Y, (1 mo. LIBOR + 2.00%), 2.86%, 07/01/26 | 1,557 | 1,471,250 | ||||||
Term Loan W, (3 mo. LIBOR + 2.00%), 2.86%, 10/01/22 | 4,782 | 4,553,092 | ||||||
BWAY Holding Co., 2017 Term Loan B, | 2,436 | 1,974,635 | ||||||
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.58%, 12/29/23(a) | 1,791 | 1,620,904 | ||||||
Pregis TopCo Corp., 1st Lien Term Loan, | 834 | 721,332 | ||||||
|
| |||||||
10,341,213 | ||||||||
Distributors — 0.5% | ||||||||
TriMark USA LLC, 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.50%), 4.58%, 08/28/24 | 3,128 | 1,946,870 | ||||||
|
| |||||||
Diversified Consumer Services — 4.3% | ||||||||
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.99%, 02/01/27 | 554 | 509,680 | ||||||
APX Group, Inc., 2020 Term Loan, | 387 | 316,506 | ||||||
Ascend Learning LLC, 2017 Term Loan B, | 1,576 | 1,397,105 | ||||||
BidFair MergerRight, Inc., Term Loan B, | 3,038 | 2,334,240 | ||||||
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 2.74%, 11/07/23 | 1,535 | 1,454,079 | ||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 4.74%, 07/11/25 | 2,907 | 2,369,399 |
Security | Par (000) | Value | ||||||
Diversified Consumer Services (continued) | ||||||||
Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 2.95%, 05/15/24 | USD | 1,154 | $ | 1,038,491 | ||||
Serta Simmons Bedding LLC : | ||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 11/08/23 | 943 | 370,114 | ||||||
2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 11/08/24 | 126 | 27,718 | ||||||
Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.09%, 11/14/22 | 4,696 | 4,167,646 | ||||||
TruGreen LP, 2019 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 03/19/26 | 2,236 | 2,023,594 | ||||||
Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 4.49%, 07/13/23 | 2,666 | 2,474,357 | ||||||
|
| |||||||
18,482,929 | ||||||||
Diversified Financial Services — 4.8% | ||||||||
Advisor Group, Inc., 2019 Term Loan, (1 mo. LIBOR + 5.00%), 5.99%, 08/01/26 | 3,040 | 2,236,960 | ||||||
AlixPartners LLP, 2017 Term Loan B, | 4,484 | 4,271,275 | ||||||
Allsup’s Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 7.18%, 11/18/24 | 1,064 | 867,146 | ||||||
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, 03/05/27(a)(f) | 2,552 | 2,143,563 | ||||||
EG Finco Ltd., 2018 Term Loan, (6 mo. LIBOR + 4.00%), 5.07%, 02/07/25 | 1,169 | 847,244 | ||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24 | 1,721 | 1,163,650 | ||||||
Knowlton Development Corp., Inc., 2020 Term Loan B, 12/22/25(f) | 2,161 | 1,829,411 | ||||||
LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 4.49%, 09/06/25 | 576 | 422,106 | ||||||
SMG US Midco 2, Inc., 2020 Term Loan, | 1,567 | 1,320,581 | ||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 5.70%, 07/30/25(a) | 1,270 | 1,053,994 |
4 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Starwood Property Trust, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.50%), 3.49%, 07/26/26(a) | USD | 605 | $ | 526,315 | ||||||||
VS Buyer LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 4.86%, 02/28/27(a) | 2,129 | 2,033,195 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 3.20%, 04/30/28(a) | 1,617 | 1,519,980 | ||||||||||
|
| |||||||||||
20,235,420 | ||||||||||||
Diversified Telecommunication Services — 4.5% | ||||||||||||
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24 | 1,441 | 1,244,193 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 2.74%, 03/01/27 | 1,931 | 1,795,687 | ||||||||||
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24 | 2,208 | 1,932,133 | ||||||||||
TDC A/S, Term Loan, (1 mo. LIBOR + 3.00%), 3.00%, 06/04/25 | EUR | 819 | 844,985 | |||||||||
Virgin Media Investment Holdings Ltd., Term Loan L, (1 mo. LIBOR + 3.25%), 3.50%, 01/15/27 | GBP | 1,000 | 1,113,232 | |||||||||
Zayo Group Holdings, Inc., USD Term Loan, 03/09/27(a)(f) | USD | 12,967 | 12,188,802 | |||||||||
|
| |||||||||||
19,119,032 | ||||||||||||
Electric Utilities — 0.0% | ||||||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/20(a)(b)(g) | 1,710 | — | ||||||||||
Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 2.74%, 12/31/25 | 4 | 3,717 | ||||||||||
|
| |||||||||||
3,717 | ||||||||||||
Electrical Equipment — 0.8% | ||||||||||||
Gates Global LLC, 2017 Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/01/24 | 3,808 | 3,282,515 | ||||||||||
|
| |||||||||||
Energy Equipment & Services — 0.5% | ||||||||||||
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25(a) | 1,597 | 1,373,804 |
Security | Par (000) | Value | ||||||||||
Energy Equipment & Services (continued) | ||||||||||||
Pioneer Energy Services Corp., Term Loan, | USD | 845 | $ | 794,300 | ||||||||
|
| |||||||||||
2,168,104 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 2.3% | ||||||||||||
Claros Mortgage Trust, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.26%, 08/09/26(a) | 1,610 | 1,239,673 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 3.74%, 08/21/25 | 3,111 | 2,714,087 | ||||||||||
Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 2.74%, 01/02/26 | 979 | 920,061 | ||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, | 1,055 | 933,587 | ||||||||||
VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 2.67%, 12/20/24 | 4,359 | 3,994,379 | ||||||||||
|
| |||||||||||
9,801,787 | ||||||||||||
Food & Staples Retailing — 1.6% | ||||||||||||
BCPE Empire Holdings, Inc. : | ||||||||||||
2019 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 4.99%, 06/11/26 | 209 | 148,664 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.99%, 06/11/26 | 1,060 | 932,403 | ||||||||||
Hearthside Food Solutions LLC : | ||||||||||||
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.99%, 05/23/25 | 2,063 | 1,745,451 | ||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 4.68%, 05/23/25 | 847 | 702,715 | ||||||||||
US Foods, Inc. : | ||||||||||||
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 2.82%, 06/27/23 | 2,646 | 2,438,883 | ||||||||||
2019 Term Loan B, (6 mo. LIBOR + 2.00%), 3.07%, 09/13/26 | 927 | 841,807 | ||||||||||
|
| |||||||||||
6,809,923 | ||||||||||||
Food Products — 3.7% | ||||||||||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 4.30%, 10/01/25 | 657 | 597,062 | ||||||||||
B&G Foods, Inc., 2019 Term Loan B4, | 165 | 152,958 | ||||||||||
Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/23 | 4,243 | 3,765,608 |
5 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Food Products (continued) | ||||||||||||
Froneri International Ltd.(a): |
| |||||||||||
2020 USD 2nd Lien Term Loan, (6 mo. LIBOR + 5.75%), 6.74%, 01/29/28 | USD | 224 | $ | 201,600 | ||||||||
2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 3.24%, 01/29/27 | 5,215 | 4,941,212 | ||||||||||
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%), 4.01%, 08/03/25 | 171 | 158,175 | ||||||||||
JBS USA LUX SA, 2019 Term Loan B, (6 mo. LIBOR + 2.00%), 3.07%, 05/01/26 | 520 | 484,063 | ||||||||||
Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 3.74%, 02/05/23(a) | 5,950 | 5,607,734 | ||||||||||
|
| |||||||||||
15,908,412 | ||||||||||||
Health Care Equipment & Supplies — 2.5% | ||||||||||||
Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.45%, 06/15/21 | 5,240 | 4,480,471 | ||||||||||
Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 4.20%, 09/24/24 | 797 | 533,614 | ||||||||||
Ortho-Clinical Diagnostics SA : | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.77%, 06/30/25 | 5,830 | 4,933,224 | ||||||||||
EUR Term Loan B, (3 mo. LIBOR + 3.50%), 3.50%, 06/30/25 | EUR | 1,000 | 887,834 | |||||||||
|
| |||||||||||
10,835,143 | ||||||||||||
Health Care Providers & Services — 3.4% | ||||||||||||
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25 | USD | 800 | 702,937 | |||||||||
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.07%, 06/07/23 | 1,910 | 1,686,816 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.87%, 01/08/27(a) | 968 | 909,920 | ||||||||||
DentalCorp Perfect Smile ULC, 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 06/06/25 | 703 | 543,172 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 4.74%, 10/10/25 | 2,191 | 1,106,270 | ||||||||||
EyeCare Partners LLC : | ||||||||||||
2020 Delayed Draw Term Loan, (UNFND + 0.50%), 0.50%, 02/18/27 | 324 | — |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
2020 Term Loan, (3 mo. LIBOR + 3.75%), 4.82%, 02/05/27 | USD | 1,389 | $ | 1,111,229 | ||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 9.14%, 02/04/28(a) | 1,260 | 1,071,000 | ||||||||||
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.25%, 07/02/25(a) | 2,339 | 2,187,242 | ||||||||||
HC Group Holdings II, Inc., Term Loan B, | 2,299 | 1,885,375 | ||||||||||
HCA, Inc., Term Loan B13, (1 mo. LIBOR + 1.75%), 2.74%, 03/18/26 | — | (h) | 420 | |||||||||
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.20%, 06/07/23 | 1,180 | 1,039,550 | ||||||||||
NThrive, Inc., 2016 1st Lien Term Loan, | 1,743 | 1,450,890 | ||||||||||
Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/06/24 | 1,536 | 959,835 | ||||||||||
|
| |||||||||||
14,654,656 | ||||||||||||
Health Care Services — 1.1% | ||||||||||||
Emerald TopCo., Inc., Term Loan, (1 mo. LIBOR + 3.50%), 4.49%, 07/25/26(a) | 2,101 | 1,911,779 | ||||||||||
WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.95%, 08/13/26 | 2,979 | 2,641,167 | ||||||||||
|
| |||||||||||
4,552,946 | ||||||||||||
Health Care Technology — 1.9% | ||||||||||||
Athenahealth, Inc., 2019 Term Loan B, (3 mo. LIBOR + 4.50%), 5.28%, 02/11/26(a) | 3,701 | 3,441,567 | ||||||||||
Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR US), 3.50%, 03/01/24(a) | 3,614 | 3,397,412 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 3.74%, 10/10/25 | 1,057 | 980,839 | ||||||||||
Quintiles IMS, Inc., 2017 Term Loan B, | 499 | 457,420 | ||||||||||
|
| |||||||||||
8,277,238 | ||||||||||||
Hotels, Restaurants & Leisure — 6.7% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 2.74%, 11/19/26 | 3,102 | 2,853,880 |
6 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (3 mo. LIBOR + 3.75%), 5.02%, 02/02/26(a) | USD | 434 | $ | 303,895 | ||||||||
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 3.58%, 10/19/24 | 1,396 | 1,246,302 | ||||||||||
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.93%, 09/15/23 | 1,156 | 994,704 | ||||||||||
Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 3.74%, 12/23/24 | 4,858 | 3,906,154 | ||||||||||
CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 3.24%, 08/06/21 | 1,315 | 1,163,968 | ||||||||||
Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.99%, 11/30/23 | 1,692 | 1,522,926 | ||||||||||
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.45%, 12/01/23 | 147 | 103,531 | ||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 3.49%, 10/04/23 | 1,945 | 1,507,713 | ||||||||||
IRB Holding Corp, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25 | 3,131 | 2,404,925 | ||||||||||
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 2.36%, 04/03/25 | 1,405 | 1,323,819 | ||||||||||
Penn National Gaming, Inc., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 3.24%, 10/15/25 | 597 | 447,009 | ||||||||||
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 | 805 | 546,025 | ||||||||||
Playtika Holding Corp., Term Loan B, (6 mo. LIBOR + 6.00%, 1.00% Floor), 7.07%, 12/10/24 | 1,486 | 1,379,423 | ||||||||||
Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.99%, 02/22/24 | 1,132 | 942,007 | ||||||||||
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 3.74%, 08/14/24 | 1,567 | 1,259,165 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 4.95%, 07/10/25 | 1,722 | 1,637,310 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, | 1,731 | 1,466,716 | ||||||||||
Tackle Sarl, 2017 EUR Term Loan, (6 mo. LIBOR + 3.75%), 3.75%, 08/08/22 | EUR | 1,000 | 878,382 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 3.77%, 08/02/26 | USD | 2,411 | $ | 1,978,106 | ||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.74%, 05/30/25 | 555 | 484,685 | ||||||||||
|
| |||||||||||
28,350,645 | ||||||||||||
Household Durables — 0.4% | ||||||||||||
Reynolds Consumer Products LLC, Term Loan, (3 mo. LIBOR + 1.75%), 3.50%, 02/04/27 | 1,752 | 1,641,624 | ||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers — 1.0% | ||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.99%, 01/15/25 | 237 | 221,104 | ||||||||||
Calpine Corp. : | ||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.99%, 08/12/26(a) | 723 | 679,178 | ||||||||||
Term Loan B9, (1 mo. LIBOR + 2.25%), 3.24%, 04/06/26 | 3,665 | 3,472,800 | ||||||||||
|
| |||||||||||
4,373,082 | ||||||||||||
Industrial Conglomerates — 2.0% | ||||||||||||
Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.74%, 11/28/21 | 1,586 | 1,264,668 | ||||||||||
Vertiv Group Corp., Term Loan B, 03/02/27(a)(f) | 8,384 | 7,210,240 | ||||||||||
|
| |||||||||||
8,474,908 | ||||||||||||
Insurance — 4.7% | ||||||||||||
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.99%, 05/09/25 | 3,755 | 3,402,407 | ||||||||||
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.86%, 05/09/25 | 1,042 | 945,814 | ||||||||||
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24 | 2,823 | 2,600,625 | ||||||||||
AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 4.49%, 02/12/27 | 2,857 | 2,478,295 | ||||||||||
Davis Vision, Inc., 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.45%, 12/02/24 | 942 | 789,979 | ||||||||||
Hub International Ltd. : | ||||||||||||
2018 Term Loan B, (2 mo. LIBOR + 2.75%), 4.55%, 04/25/25 | 3,149 | 2,925,432 |
7 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Insurance (continued) | ||||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.69%, 04/25/25 | USD | 885 | $ | 829,289 | ||||||||
Sedgwick Claims Management Services, | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.99%, 09/03/26 | 1,814 | 1,626,053 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 4.24%, 12/31/25 | 4,926 | 4,330,806 | ||||||||||
|
| |||||||||||
19,928,700 | ||||||||||||
Interactive Media & Services — 1.2% | ||||||||||||
Ancestry.com Operations Inc., 2019 Extended Term Loan B, (1 mo. LIBOR + 4.25%), 5.24%, 08/27/26 | 798 | 630,412 | ||||||||||
Ancestry.com Operations, Inc.,Non-Extended Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/23(a) | 3,265 | 2,807,984 | ||||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.76%, 11/03/23 | 535 | 462,957 | ||||||||||
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24 | 1,224 | 1,070,966 | ||||||||||
|
| |||||||||||
4,972,319 | ||||||||||||
IT Services — 5.2% | ||||||||||||
Altran Technologies SA, 1st Lien Term Loan, (1 mo. LIBOR + 2.50%), 3.27%, 03/20/25 | 668 | 609,641 | ||||||||||
Camelot U.S. Acquisition 1 Co., Term Loan B, 10/31/26(a)(f) | 3,693 | 3,471,671 | ||||||||||
Epicor Software Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 06/01/22 | 2,595 | 2,361,063 | ||||||||||
Evertec Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 4.49%, 11/27/24 | 877 | 742,124 | ||||||||||
Flexential Intermediate Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 8.71%, 08/01/25 | 975 | 368,872 | ||||||||||
Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.24%, 12/01/23(a) | 2,178 | 2,025,649 | ||||||||||
Presidio, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 5.28%, 01/22/27(a) | 842 | 783,060 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 4.49%, 01/29/27(a) | 4,276 | 3,634,494 |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 2.74%, 11/16/26 | USD | 4,168 | $ | 3,978,322 | ||||||||
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 3.24%, 05/15/26 | 4,607 | 3,971,384 | ||||||||||
|
| |||||||||||
21,946,280 | ||||||||||||
Leisure Products — 0.2% | ||||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.95%, 06/19/24(a) | 1,008 | 765,933 | ||||||||||
|
| |||||||||||
Life Sciences Tools & Services — 2.4% | ||||||||||||
Albany Molecular Research, Inc. : | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 08/30/24 | 279 | 240,227 | ||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/30/25 | 395 | 276,500 | ||||||||||
EResearchTechnology, Inc., 2020 1st Lien Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.95%, 02/04/27 | 2,155 | 1,874,850 | ||||||||||
Sotera Health Holdings LLC, 2019 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 | 8,846 | 7,660,116 | ||||||||||
|
| |||||||||||
10,051,693 | ||||||||||||
Machinery — 2.0% | ||||||||||||
Clark Equipment Co., 2019 Term Loan B, (3 mo. LIBOR + 1.75%), 3.20%, 05/18/24 | 593 | 528,572 | ||||||||||
Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.95%, 01/31/24(a) | 134 | 117,533 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd., 2020 USD Spinco Term Loan, 02/28/27(f) | 2,287 | 2,138,345 | ||||||||||
Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%), 3.74%, 01/31/24(a) | 322 | 292,792 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.45%, 03/28/25 | 6,757 | 5,506,931 | ||||||||||
|
| |||||||||||
8,584,173 | ||||||||||||
Media — 11.9% | ||||||||||||
Altice Financing SA : | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 3.67%, 01/31/26 | 706 | 640,655 | ||||||||||
2017 Term Loan B, (2 mo. LIBOR + 2.75%), 4.41%, 07/15/25 | 241 | 217,668 |
8 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Altice France SA : | ||||||||||||
2018 Term Loan B13, (1 mo. LIBOR + 4.00%), 4.70%, 08/14/26 | USD | 3,564 | $ | 3,376,872 | ||||||||
USD Term Loan B12, (1 mo. LIBOR + 3.68%), 4.39%, 01/31/26 | 533 | 495,446 | ||||||||||
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 2.74%, 04/30/25 | 4,385 | 4,196,438 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), | 7,211 | 6,057,043 | ||||||||||
Connect Finco Sarl, Term Loan B, (UNFND + 0.37%), 0.38%, 12/12/26 | 11,459 | 8,967,004 | ||||||||||
CSC Holdings LLC, : | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 2.86%, 07/17/25 | 1,341 | 1,276,448 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 3.11%, 04/15/27 | 1,674 | 1,595,696 | ||||||||||
Diamond Sports Group LLC, Term Loan, | 957 | 737,161 | ||||||||||
Gray Television, Inc., : | ||||||||||||
2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.77%, 02/07/24 | 607 | 566,405 | ||||||||||
2018 Term Loan C, (1 mo. LIBOR + 2.50%), 4.02%, 01/02/26 | 821 | 759,840 | ||||||||||
Intelsat Jackson Holdings SA, 2017 Term Loan B3, (6 mo. LIBOR + 3.75%, 1.00% Floor), 5.68%, 11/27/23 | 395 | 359,944 | ||||||||||
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 | 4,212 | 2,752,137 | ||||||||||
Liberty Latin America Ltd., Term Loan B, (3 mo. LIBOR + 5.00%), | 1,291 | 1,182,879 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), | 1,368 | 1,224,162 | ||||||||||
MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 2.37%, 02/15/24(a) | 718 | 688,977 | ||||||||||
MH Sub I LLC, 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.75%), | 2,352 | 1,978,160 | ||||||||||
Midcontinent Communications, 2019 Term Loan B, (3 mo. LIBOR + 1.75%), | 736 | 681,198 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.75%), | 1,497 | 1,387,398 |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
PCI Gaming Authority, Term Loan, (1 mo. LIBOR + 2.50%), 3.49%, 05/29/26 | USD | 1,312 | $ | 1,063,044 | ||||||||
PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), | 3,827 | 2,392,051 | ||||||||||
Radiate Holdco LLC, 1st Lien Term Loan, | 2,052 | 1,881,096 | ||||||||||
Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 3.24%, 01/03/24(a) | 190 | 180,259 | ||||||||||
Terrier Media Buyer, Inc., Term Loan B, (3 mo. LIBOR + 4.25%), 5.70%, 12/17/26(a) | 810 | 715,244 | ||||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), | 3,761 | 3,159,093 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 4.37%, 05/18/25 | 2,742 | 2,148,819 | ||||||||||
|
| |||||||||||
50,681,137 | ||||||||||||
Metals & Mining — 0.9% | ||||||||||||
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR US), 6.11%, 07/31/25 | 1,786 | 1,339,567 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.07%, 03/08/24 | 3,381 | 2,453,161 | ||||||||||
|
| |||||||||||
3,792,728 | ||||||||||||
Multiline Retail — 0.3% | ||||||||||||
Eyemart Express LLC, 2017 Term Loan B, | 960 | 883,545 | ||||||||||
Neiman Marcus Group Ltd. LLC, Cash Pay Extended Term Loan, (1 mo. LIBOR + 6.00%), 7.50%, 10/25/23 | 959 | 377,336 | ||||||||||
|
| |||||||||||
1,260,881 | ||||||||||||
Oil & Gas Equipment & Services — 0.4% | ||||||||||||
McDermott Technology Americas, Inc. : | ||||||||||||
2018 1st Lien Term Loan, (PRIME + 4.00%), 7.25%, 05/12/25 | 1,717 | 486,604 | ||||||||||
2020 DIP New Money Term Loan, 10/23/20(f) | 678 | 612,097 | ||||||||||
2020 SP DIP Roll Up Term Loan, 10/22/20(f) | 785 | 708,541 | ||||||||||
|
| |||||||||||
1,807,242 |
9 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels — 0.5% | ||||||||||||
California Resources Corp., Second Out Term Loan, (3 mo. LIBOR + 10.37%, 1.00% Floor), 11.99%, 12/31/21 | 1,737 | $ | 81,859 | |||||||||
CONSOL Energy, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), | 548 | 355,907 | ||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 4.74%, 12/13/25 | 1,516 | 1,212,832 | ||||||||||
EG Group Ltd., 2018 Term Loan B, (6 mo. LIBOR + 4.00%), 5.07%, 02/07/25 | 789 | 571,952 | ||||||||||
|
| |||||||||||
2,222,550 | ||||||||||||
Personal Products — 0.5% | ||||||||||||
Sunshine Luxembourg VII Sarl, USD 1st Lien Term Loan, 09/25/26(f) | 2,437 | 2,179,088 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 3.8% | ||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 4.50%, 05/04/25 | 1,985 | 1,687,580 | ||||||||||
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), | 2,066 | 1,993,339 | ||||||||||
Elanco Animal Health Inc., Term Loan B, 02/04/27(f) | 416 | 393,495 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), | 2,208 | 2,081,113 | ||||||||||
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), | 3,405 | 3,240,976 | ||||||||||
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, 06/02/25(f) | 6,956 | 6,581,717 | ||||||||||
|
| |||||||||||
15,978,220 | ||||||||||||
Professional Services — 1.8% | ||||||||||||
Cast and Crew Payroll LLC : | ||||||||||||
2019 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 4.74%, 02/07/26 | 2,395 | 1,868,368 |
Security | Par (000) | Value | ||||||||||
Professional Services (continued) | ||||||||||||
2020 Incremental Term Loan, 02/07/26(a)(f) | USD | 310 | $ | 238,700 | ||||||||
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 4.00%), 4.96%, 02/06/26 | 4,228 | 3,789,005 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), | 1,266 | 911,694 | ||||||||||
STG-Fairway Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.50%), 4.57%, 01/31/27 | 1,254 | 1,053,360 | ||||||||||
|
| |||||||||||
7,861,127 | ||||||||||||
Real Estate Management & Development — 1.6% | ||||||||||||
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.24%, 04/18/24 | 4,637 | 4,025,193 | ||||||||||
ESH Hospitality, Inc., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.99%, 09/18/26 | 773 | 681,855 | ||||||||||
Forest City Enterprises LP, 2019 Term Loan B, (1 mo. LIBOR + 3.50%), 4.49%, 12/08/25(a) | 2,086 | 1,772,760 | ||||||||||
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.83%, 02/08/25 | 146 | 122,826 | ||||||||||
|
| |||||||||||
6,602,634 | ||||||||||||
Road & Rail — 1.1% | ||||||||||||
Lineage Logistics Holdings LLC, 2018 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 02/27/25 | 3,267 | 3,034,027 | ||||||||||
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), | 734 | 543,774 | ||||||||||
Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (PRIME + 2.50%), | 1,346 | 969,145 | ||||||||||
|
| |||||||||||
4,546,946 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.3% | ||||||||||||
Microchip Technology, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.99%, 05/29/25(a) | 857 | 822,518 | ||||||||||
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.99%, 09/19/26 | 638 | 596,688 | ||||||||||
|
| |||||||||||
1,419,206 |
10 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software — 20.2% | ||||||||||||
Applied Systems, Inc. : | ||||||||||||
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.70%, 09/19/24 | 3,824 | $ | 3,512,030 | |||||||||
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.45%, 09/19/25 | 726 | 654,422 | ||||||||||
BMC Software Finance, Inc., 2017 Term Loan, (1 mo. LIBOR + 4.25%), 5.24%, 10/02/25 | 1,829 | 1,509,453 | ||||||||||
Castle US Holding Corp., USD Term Loan B, (1 mo. LIBOR + 3.75%), 5.20%, 01/31/27 | 2,998 | 2,377,804 | ||||||||||
Cerence, Inc., Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 7.52%, 10/01/24 | 863 | 765,912 | ||||||||||
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 | 1,303 | 1,181,586 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), | 1,166 | 902,146 | ||||||||||
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 6.53%, 09/29/23 | 1,412 | 992,229 | ||||||||||
Ellie Mae, Inc., Term Loan, (3 mo. LIBOR + 3.75%), 5.20%, 04/17/26 | 3,897 | 3,395,548 | ||||||||||
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), | 5,982 | 5,717,797 | ||||||||||
Infor (US), Inc., Term Loan B6, (1 mo. 02/01/22(f) | 7,480 | 7,170,047 | ||||||||||
Informatica LLC : | ||||||||||||
2020 USD 2nd Lien Term Loan, | 1,294 | 1,138,720 | ||||||||||
2020 USD Term Loan B, 02/25/27(f) | 7,637 | 6,580,750 | ||||||||||
Kronos, Inc. : | ||||||||||||
2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00 % Floor), | 6,244 | 5,667,401 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.01%, 11/01/24 | USD | 2,135 | $ | 1,955,660 | ||||||||
McAfee LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 4.69%, 09/30/24 | 3,048 | 2,844,670 | ||||||||||
Mitchell International, Inc. : | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.24%, 11/29/24 | 2,702 | 2,233,825 | ||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 8.24%, 12/01/25 | 850 | 637,500 | ||||||||||
Renaissance Holding Corp., 2018 Add On Term Loan, (1 mo. LIBOR + 3.25%), | 693 | 572,021 | ||||||||||
RP Crown Parent LLC, 2016 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), | 3,287 | 3,122,201 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, 08/01/25(f) | 3,549 | 3,034,507 | ||||||||||
SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 3.74%, 02/05/24 | 3,733 | 3,459,474 | ||||||||||
Solera LLC, Term Loan B, (3 mo. LIBOR + 2.75%), 4.36%, 03/03/23 | 3,532 | 3,294,053 | ||||||||||
Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.70%, 09/30/22 | 5,115 | 4,846,231 | ||||||||||
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 2.74%, 04/16/25 | 957 | 891,950 | ||||||||||
SS&C Technologies, Inc. : | ||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 2.74%, 04/16/25 | 1,340 | 1,249,641 | ||||||||||
2018 Term Loan B5, 04/16/25(f) | 1,886 | 1,759,819 | ||||||||||
Tibco Software Inc.(a): | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 8.24%, 03/04/28 | 2,945 | 2,738,850 | ||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.75%), 4.74%, 06/30/26 | 5,236 | 4,921,557 | ||||||||||
Ultimate Software Group, Inc., Term Loan B, (1 mo. LIBOR + 3.75%), 4.74%, 05/03/26 | 2,851 | 2,646,367 | ||||||||||
Vertafore, Inc., 2018 1st Lien Term Loan, | 4,494 | 3,935,903 | ||||||||||
|
| |||||||||||
85,710,074 |
11 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Specialty Retail — 2.7% | ||||||||||||
Belron Finance US LLC(a): | ||||||||||||
2019 USD Term Loan B, (3 mo. LIBOR + 2.50%), 4.27%, 10/30/26 | 891 | $ | 837,321 | |||||||||
Term Loan B, (3 mo. LIBOR + 2.25%), 3.99%, 11/07/24 | 2,921 | 2,745,849 | ||||||||||
Term Loan B, (3 mo. LIBOR + 2.25%), 3.96%, 11/13/25 | 447 | 420,497 | ||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR — GBP + 4.50%), | GBP | 1,000 | 993,680 | |||||||||
IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 06/28/26(a) | USD | 824 | 782,417 | |||||||||
MED ParentCo LP : | ||||||||||||
1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 5.18%, 08/31/26 | 330 | 191,024 | ||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 5.24%, 08/31/26 | 1,317 | 1,088,739 | ||||||||||
Midas Intermediate Holdco II LLC, Incremental Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 4.02%, 08/18/21 | 1,234 | 957,838 | ||||||||||
PetSmart, Inc., Term Loan B2, (6 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/11/22 | 2,322 | 2,220,601 | ||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.26%, 12/20/24(a) | 1,237 | 1,088,153 | ||||||||||
|
| |||||||||||
11,326,119 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.8% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, 07/23/26(f) | 1,401 | 1,139,347 |
Security | Par (000) | Value | ||||||||||
Technology Hardware, Storage & Peripherals (continued) | ||||||||||||
Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 3.35%, 04/29/23(a) | USD | 2,182 | $ | 2,095,136 | ||||||||
|
| |||||||||||
3,234,483 | ||||||||||||
Thrifts & Mortgage Finance — 0.6% | ||||||||||||
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.45%, 05/23/25 | 3,152 | 2,488,291 | ||||||||||
|
| |||||||||||
Trading Companies & Distributors — 0.8% | ||||||||||||
HD Supply, Inc., Term Loan B5, (1 mo. LIBOR + 1.75%), 2.74%, 10/17/23 | 3,810 | 3,533,596 | ||||||||||
|
| |||||||||||
Utilities — 0.5% | ||||||||||||
ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), | 2,192 | 1,961,545 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services — 1.2% | ||||||||||||
Geo Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 2.99%, 03/22/24 | 1,044 | 850,543 | ||||||||||
Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20(a)(e) | 483 | 289,988 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), | 4,293 | 4,048,540 | ||||||||||
|
| |||||||||||
5,189,071 | ||||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 138.6% |
| 588,786,178 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies — 0.0% |
| |||||||||||
Equity Fund — 0.0% | ||||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | 4,125 | 135,713 | ||||||||||
|
| |||||||||||
Total Investment Companies — 0.0% |
| 135,713 | ||||||||||
|
| |||||||||||
Beneficial Interest | ||||||||||||
Other Interests(a)(b)(i) — 0.0% | ||||||||||||
IT Services — 0.0% | ||||||||||||
Millennium Corp. | USD | 1,607 | — |
12 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Beneficial Interest (000) | Value | ||||||
IT Services (continued) | ||||||||
Millennium Lender Claims | USD 1,508 | $ | — | |||||
|
| |||||||
Total Other Interests — 0.0% |
| — | ||||||
|
|
Value | ||||||
Total Long-Term Investments — 140.1% | $ | 595,491,946 | ||||
|
| |||||
Total Investments — 140.1% | 595,491,946 | |||||
Liabilities in Excess of Other Assets — (40.1)% | (170,536,277 | ) | ||||
|
| |||||
Net Assets — 100.0% | $ | 424,955,669 | ||||
|
|
(a) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(b) | Non-income producing security. |
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) | Variable rate security. Rate shown is the rate in effect as of period end. |
(e) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(f) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(g) | Issuer filed for bankruptcy and/or is in default. |
(h) | Amount is less than 500. |
(i) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
Investments in issuers considered to be an affiliate/affiliates of the Fund during the period ended March 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the were as follows:
Affiliated Issuer | Shares Held at 12/31/19 | Shares Purchased | Shares Sold | Shares Held at 03/31/20 | Value at 03/31/20 | Income | Net Realized Gain (Loss)(a) | Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
BlackRock Liquidity Funds,T-Fund, Institutional Class(b) | — | — | — | — | $ | — | $ | 5,972 | $ | — | $ | — | ||||||||||||||||||||
iShares iBoxx USD High Yield Corporate Bond ETF(b) | — | — | — | — | — | 11,590 | (161,570 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | — | $ | 17,562 | $ | (161,570 | ) | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Includes net capital gain distributions, if applicable. |
(b) | As of period end, the entity is no longer held by the Fund. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industrysub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industrysub-classifications for reporting ease.
Currency Abbreviations | ||
EUR | Euro | |
GBP | British Pound | |
USD | United States Dollar |
13 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Portfolio Abbreviations | ||
DIP | Debtor-In-Possession | |
ETF | Exchange-Traded Fund | |
MTN | Medium-Term Note | |
LIBOR | London Interbank Offered Rate | |
PIK | Payment-In-Kind | |
PRIME | U.S. Prime Rate | |
S&P | Standard & Poor’s | |
SPDR | Standard & Poor’s Depository Receipts | |
UNFND | Unfund |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
EUR | 278,301 | USD | 302,439 | Goldman Sachs International | 04/03/20 | $ | 4,507 | |||||||||||||
EUR | 288,602 | USD | 307,311 | Royal Bank of Canada | 04/03/20 | 10,997 | ||||||||||||||
GBP | 180,106 | USD | 212,152 | Bank Of Montreal | 04/03/20 | 11,561 | ||||||||||||||
GBP | 64,425 | USD | 76,055 | Barclays Bank PLC | 04/03/20 | 3,968 | ||||||||||||||
GBP | 1,578,000 | USD | 1,959,256 | Natwest Markets PLC | 04/03/20 | 803 | ||||||||||||||
USD | 2,352,719 | GBP | 1,825,000 | Standard Chartered Bank | 04/03/20 | 85,857 | ||||||||||||||
USD | 4,136,390 | EUR | 3,744,000 | UBS AG | 05/05/20 | 1,883 | ||||||||||||||
|
| |||||||||||||||||||
119,576 | ||||||||||||||||||||
|
| |||||||||||||||||||
EUR | 166,566 | USD | 186,481 | Toronto-Dominion Bank | 04/03/20 | (2,770 | ) | |||||||||||||
EUR | 3,744,000 | USD | 4,130,755 | UBS AG | 04/03/20 | (1,382 | ) | |||||||||||||
USD | 4,954,048 | EUR | 4,504,000 | HSBC Bank USA N.A. | 04/03/20 | (13,552 | ) | |||||||||||||
USD | 1,960,818 | GBP | 1,578,000 | Natwest Markets PLC | 05/05/20 | (619 | ) | |||||||||||||
|
| |||||||||||||||||||
(18,323 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation | $ | 101,253 | ||||||||||||||||||
|
|
14 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | �� | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access |
• | Level 2 —Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the BlackRock Global Valuation Methodologies Committee’s (the “Global Valuation Committee’s”) assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.
The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks (a) | $ | 83,964 | $ | 262,181 | $ | 51,890 | $ | 398,035 | ||||||||
Asset-Backed Securities(a) | — | 425,602 | 998,775 | 1,424,377 | ||||||||||||
Corporate Bonds (a) | — | 4,747,643 | — | 4,747,643 | ||||||||||||
Floating Rate Loan Interests (a) | — | 442,924,597 | 145,861,581 | 588,786,178 | ||||||||||||
Investment Companies(a) | 135,713 | — | — | 135,713 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Liabilities: | ||||||||||||||||
Unfunded floating rate loan interests(b) | — | (88,184 | ) | — | (88,184 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 219,677 | $ | 448,271,839 | $ | 146,912,246 | $ | 595,403,762 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(c) | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign currency exchange contracts | — | 119,576 | — | 119,576 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign currency exchange contracts | — | (18,323 | ) | — | (18,323 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | 101,253 | $ | — | $ | 101,253 | |||||||||
|
|
|
|
|
|
|
|
(a) | See above Schedule of Investments for values in each industry. |
(b) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(c) | Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
15 |
Schedule of Investments (unaudited) (continued) March 31, 2020 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset-Backed Securities | Common Stocks | Floating Rate Loan Interests | Total | |||||||||||||
Assets: | ||||||||||||||||
Opening Balance, as of December 31, 2019 | $ | — | $ | 556,399 | $ | 29,886,699 | $ | 30,443,098 | ||||||||
Transfers into Level 3(a) | — | — | 99,861,379 | 99,861,379 | ||||||||||||
Transfers out of Level 3(b) | — | (318,271 | ) | (9,030,007 | ) | (9,348,278 | ) | |||||||||
Accrued discounts/premiums | — | — | 33,370 | 33,370 | ||||||||||||
Net realized gain (loss) | — | — | (1,053,130 | ) | (1,053,130 | ) | ||||||||||
Net change in unrealized appreciation (depreciation)(c) | (1,225 | ) | (186,238 | ) | (16,066,681 | ) | (16,254,144 | ) | ||||||||
Purchases | 1,000,000 | — | 60,336,644 | 61,336,644 | ||||||||||||
Sales | — | — | (18,106,693 | ) | (18,106,693 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Closing Balance, as of March 31, 2020 | $ | 998,775 | $ | 51,890 | $ | 145,861,581 | $ | 146,912,246 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2020 (C) | $ | (1,225 | ) | $ | (186,238 | ) | $ | (16,013,947 | ) | $ | (16,201,410 | ) | ||||
|
|
|
|
|
|
|
|
(a) As of December 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of March 31, 2020, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.
(b) As of December 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2020, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |
16 |